Dissecting Stock Price Momentum Using Financial Statement Analysis

41 Pages Posted: 23 Oct 2018

See all articles by Anwer S. Ahmed

Anwer S. Ahmed

Texas A&M University - Mays Business School

Irfan Safdar

Widener University

Multiple version iconThere are 3 versions of this paper

Date Written: November 2018


The literature on stock price momentum documents that past price performance predicts future price performance (over the next 3–12 months). We argue that past price performance can be driven either by fundamentals or by non‐fundamental reasons and financial statement analysis (FSA) can help distinguish between these drivers of past returns. We find that price momentum reverses where fundamentals are inconsistent with past price performance, allowing us to develop an investment strategy that outperforms a pure momentum strategy over 80 percent of the time. Overall, we document robust evidence on the usefulness of FSA for enhancing momentum strategies.

Keywords: Financial statement analysis, Fundamental analysis, Stock price momentum

Suggested Citation

Ahmed, Anwer S. and Safdar, Irfan, Dissecting Stock Price Momentum Using Financial Statement Analysis (November 2018). Accounting & Finance, Vol. 58, pp. 3-43, 2018. Available at SSRN: https://ssrn.com/abstract=3271215 or http://dx.doi.org/10.1111/acfi.12358

Anwer S. Ahmed (Contact Author)

Texas A&M University - Mays Business School ( email )

430 Wehner
College Station, TX 77843-4353
United States

Irfan Safdar

Widener University ( email )

Chester, PA 19013
United States

Register to save articles to
your library


Paper statistics

Abstract Views
PlumX Metrics